Hi,
I am running a SUR system of multiple equations where the residuals appear to be autocorrelated. Is there a way of performing SUR with, say, Newey-West adjusted covariance estimation so that my coefficient covariance estimators are autocorrelation consistent?
Thank you
AC consistent SUR
Moderators: EViews Gareth, EViews Jason, EViews Moderator, EViews Matt
Who is online
Users browsing this forum: No registered users and 15 guests